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From |
"Sebastian Kruk" <residuo.solow@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: restricted VAR for preselection of instruments |

Date |
Fri, 26 Dec 2008 21:55:46 -0200 |

Bob, thank you! 2008/12/24 Robert A Yaffee <bob.yaffee@nyu.edu>: > Sebastien, > For successive VAR order and instrument selection, you might try something like: > webuse lutkepohl2, clear > local x1 dln_inv dln_inc dln_consump > local x2 dln_inv dln_inc > local x3 dln_inv dln_consump > > forvalues j=3(-1)1 { > foreach var in `x1' `x2' `x3' { > var `var' , lags(1/`j') lutstats > est store mod`var'`j' > } > } > est stats _all > Cheers, > Bob > > > Robert A. Yaffee, Ph.D. > Research Professor > Silver School of Social Work > New York University > > > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf > > CV: http://homepages.nyu.edu/~ray1/vita.pdf > > ----- Original Message ----- > From: Robert A Yaffee <bob.yaffee@nyu.edu> > Date: Wednesday, December 24, 2008 4:18 pm > Subject: Re: st: restricted VAR for preselection of instruments > To: statalist@hsphsun2.harvard.edu > > >> Sebastien, >> Alternatively, you could try something like >> var dln_inv dln_inc dln_consump, lags(1/3) lutstats >> est store mod1 >> var dln_inv dln_inc dln_consump, lags(1/2) lutstats >> est store mod2 >> var dln_inv dln_inc , lags(1/2) lutstats >> est store mod3 >> est stats _all >> >> Regards, >> Bob >> >> >> >> Robert A. Yaffee, Ph.D. >> Research Professor >> Silver School of Social Work >> New York University >> >> >> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf >> >> CV: http://homepages.nyu.edu/~ray1/vita.pdf >> >> ----- Original Message ----- >> From: Robert A Yaffee <bob.yaffee@nyu.edu> >> Date: Wednesday, December 24, 2008 4:10 pm >> Subject: Re: st: restricted VAR for preselection of instruments >> To: statalist@hsphsun2.harvard.edu >> >> >> > Sebastien, >> > I think you could set up a do file with your sequential VAR >> > equations specified within it. >> > After each equation, you could save the e(hqic) or e(sbic) and >> compare >> > them to ascertain >> > which is the lowest. >> > Regards, >> > Bob Yaffee >> > >> > >> > >> > Robert A. Yaffee, Ph.D. >> > Research Professor >> > Silver School of Social Work >> > New York University >> > >> > >> > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf >> > >> > CV: http://homepages.nyu.edu/~ray1/vita.pdf >> > >> > ----- Original Message ----- >> > From: Sebastian Kruk <residuo.solow@gmail.com> >> > Date: Wednesday, December 24, 2008 3:05 pm >> > Subject: st: restricted VAR for preselection of instruments >> > To: statalist@hsphsun2.harvard.edu >> > >> > >> > > Dear stalistusers, >> > > >> > > I would like to do a preselection of possible instruments within >> a >> > > VAR. The two endogenous variables variables π(t+1) and s(t) are >> > > regressed on all potential instruments. This specification can be >> > > formalized as: >> > > >> > > π(t+1)=v1+A11*π(t-1)+A12*π(t-2)+...+A1j*π(t-j)+B11*x(t-1)+B12*x(t-2)+...+B1j*x(t-j) >> > > s(t)=v2+A21*s(t-1)+A22*s(t-2)+...+A2j*π(t-j)+B21*x(t-1)+B22*x(t-2)+...+B2j*x(t-j) >> > > >> > > with v1,v2 a a deterministic term, and x(t−j) the vector of all other >> > > predetermined variables with lag j. The maximal lag length is L1 = >> 10 >> > > and L2 = 5. >> > > >> > > Can I apply a model reduction procedure that works through a >> > > sequential elimination of regressors in order to obtain a model that >> > > lead to the smallest value of the particular information criterion >> as >> > > Lutkepohl, H. (2005). New introduction to multiple time series >> > > analysis, Springer? >> > > >> > > I follow Scheufele R. (2008). Evaluating the German (New Keynesian) >> > > Phillips Curve, IWH-Diskussionspapiere 10/2008. >> > > >> > > Thanks in advance, >> > > >> > > Sebastian. >> > > * >> > > * For searches and help try: >> > > * http://www.stata.com/help.cgi?search >> > > * http://www.stata.com/support/statalist/faq >> > > * http://www.ats.ucla.edu/stat/stata/ >> > > * >> > > * For searches and help try: >> > > * http://www.stata.com/help.cgi?search >> > > * http://www.stata.com/support/statalist/faq >> > > * http://www.ats.ucla.edu/stat/stata/ >> > * >> > * For searches and help try: >> > * http://www.stata.com/help.cgi?search >> > * http://www.stata.com/support/statalist/faq >> > * http://www.ats.ucla.edu/stat/stata/ >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: restricted VAR for preselection of instruments***From:*"Sebastian Kruk" <residuo.solow@gmail.com>

**Re: st: restricted VAR for preselection of instruments***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

**Re: st: restricted VAR for preselection of instruments***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

**Re: st: restricted VAR for preselection of instruments***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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